Thanks to you and all the other wonderful Monks out here for providing the useful hints. I was able to set up access to external ftp from behind the firewall. (Though this wasn't very straightforward in the document you pointed out, but that helped. So I ended up adding the following in my setup:)

set http_proxy=http://http_proxy_server:<port>

set ftp_proxy=ftp://ftp_proxy_server:<port>

Once these were setup, then from within the cpan shell
install Wx worked perfectly and I was able to get Wxperl installed and working with my Strawberry perl installation.

Now that it works, I think I will continue using Strawberry instead of ActiveState. Maybe that will change later ;-)